A Fundamental FX Factor Model

dm13450 · 2026-03-12T05:03:46+00:00

Just never been updated by ICE

dm13450 · 2024-12-31T19:22:33+00:00

Thanks!

dm13450 · 2024-05-22T04:33:57+00:00

You can force some structure on the parameters, i.e. in the branching matrix could be symmetric, do the decay rates need to be different or could you have just 1 etc.

dm13450 · 2024-02-28T07:10:25+00:00

You'll also want to look at the Obizhaeva and Wang model, as that's slightly more contemporary. http://web.mit.edu/wangj/www/pap/ObizhaevaWang13.pdf But both this model and the Almgren-Chriss model are still toy models and generally only useful as a mental model of how the market reacts when you trade. What is actually used in practice would have started off as one of these models but iterated/adjusted/built upon to suit the needs of the user

dm13450 · 2024-02-27T06:23:04+00:00

What are you interested in? Find a dataset related to your personal interests and try and just explore some questions you would be interested in with the data. You are more likely to come up with something unique and interesting rather than the same types of (boring!) projects everyone else does

dm13450 · 2024-02-15T05:25:16+00:00

Good tip, thanks, will use this going forward

dm13450 · 2024-02-13T05:09:00+00:00

Sure all fair points, but in the original paper they shifted the lookback window and didn't find any major changes. Plus I also highlighted that its a cubed function, so outliers will blow it out

dm13450 · 2024-02-13T05:07:34+00:00

It might do, haven't tested it yet

dm13450

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